Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0083
Annualized Std Dev 0.0500
Annualized Sharpe (Rf=0%) 0.1661

Row

Daily Return Statistics

Close
Observations 3511.0000
NAs 1.0000
Minimum -0.0544
Quartile 1 -0.0014
Median 0.0001
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0015
Maximum 0.0422
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0001
Variance 0.0000
Stdev 0.0031
Skewness -0.7516
Kurtosis 52.0855

Downside Risk

Close
Semi Deviation 0.0023
Gain Deviation 0.0023
Loss Deviation 0.0026
Downside Deviation (MAR=210%) 0.0088
Downside Deviation (Rf=0%) 0.0023
Downside Deviation (0%) 0.0023
Maximum Drawdown 0.1118
Historical VaR (95%) -0.0044
Historical ES (95%) -0.0069
Modified VaR (95%) -0.0025
Modified ES (95%) -0.0025
From Trough To Depth Length To Trough Recovery
2008-01-23 2008-10-10 2008-12-30 -0.1118 238 183 55
2012-07-26 2018-11-08 2020-01-31 -0.0922 1891 1584 307
2020-03-09 2020-03-12 2020-06-15 -0.0867 69 4 65
2020-08-07 2021-03-18 NA -0.0572 156 154 NA
2010-11-05 2011-02-10 2011-08-04 -0.0474 188 67 121

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA -0.2 -0.6 0.3 -0.5 0.1 -0.4 0.2 0 0.9 -0.2
2008 0 0.6 -1.4 -0.4 0.1 -0.5 -0.2 -0.1 -0.9 -0.1 0.2 0.1 -2.6
2009 0.1 0.1 -0.2 -0.5 -1 -0.4 0.4 -0.2 0.1 0.4 -0.4 -0.1 -1.7
2010 -0.4 -0.2 -0.3 0.3 -0.2 -0.2 0.1 -0.6 -0.4 -0.3 -0.9 0.3 -2.7
2011 -0.5 -0.3 -0.2 0.1 0.2 -0.2 0 0.2 0.4 0.5 -0.3 0.1 0
2012 -0.3 -0.4 -0.2 -0.4 0.1 -0.1 -0.3 0.4 -0.1 -0.2 -0.1 -0.1 -1.7
2013 -0.5 -0.1 -0.3 0 -0.2 0 -0.7 -0.1 -0.3 -0.5 0 0 -2.7
2014 0.1 -0.1 -0.3 0 -0.1 -0.4 0.1 0 0.2 -0.2 -0.3 0.1 -0.8
2015 0.5 0.1 0.2 -0.5 -0.5 -0.4 0.3 0 -0.1 0.2 0.2 0.2 0.1
2016 -0.4 -0.5 -0.1 0.1 -0.2 0.1 -0.5 -0.1 -0.1 -0.2 -0.6 0.2 -2.3
2017 -0.4 -0.6 0.1 -0.4 -0.2 -0.1 0 -0.4 0 -0.1 0.1 0.2 -1.9
2018 -0.5 0 0.3 -0.4 -0.4 0 -0.3 0 -0.4 -0.1 0 0.3 -1.5
2019 -0.5 -0.5 -0.6 -0.2 0.4 -0.2 0.5 0 -0.1 -0.3 0 -0.1 -1.8
2020 0.3 0.7 0.3 -0.2 -0.3 -0.2 0.1 0.1 -0.1 -0.2 -0.5 0.1 0.2
2021 -0.1 -0.3 0.1 NA NA NA NA NA NA NA NA NA -0.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-04-10  75.2 SPY    145.  0.00120   0.0172   0.0272   0.0242    0.105    0.259    0.280 GLD    67.2  0.0095    0.0199
2 2007-04-11  75.0 SPY    144. -0.0041    0.0023   0.0215   0.0209    0.112    0.256    0.284 GLD    67.1 -0.00120   0.019 
3 2007-04-12  75.0 SPY    145.  0.0044    0.0056   0.0464   0.022     0.115    0.265    0.276 GLD    67.0 -0.0013    0.0027
4 2007-04-13  74.9 SPY    145.  0.0046    0.0075   0.0434   0.0222    0.130    0.266    0.314 GLD    67.8  0.0127    0.0147
5 2007-04-16  75.0 SPY    147.  0.0095    0.0156   0.0518   0.0242    0.138    0.296    0.317 GLD    68.4  0.0083    0.0281
6 2007-04-17  75.2 SPY    147.  0.0027    0.0171   0.0618   0.0289    0.143    0.297    0.330 GLD    68   -0.00580   0.0125
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart